Feinstein, Zachary; Pang, Weijie; Rudloff, Birgit; Schaanning, Eric; Sturm, Stephan; Wildman, Mackenzie (Working Papers;13/2017, Working paper, 2017)
We quantify the sensitivity of the Eisenberg-Noe clearing vector to estimation errors in the bilateral liabilities of a financial system. The interbank liabilities matrix is a crucial input to the computation of the clearing ...